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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December RBOB Gasoline(NYM) as of Dec 30, 2011
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct
Tested Years   8 19 21 23 25 27 27 27 27 27 27
Closed Higher   4 8 13 16 18 12 12 18 14 16 15
Exceeded High   4 7 12 15 16 9 12 16 13 13 7
Scenario Percentage   100% 88% 92% 94% 89% 75% 100% 89% 93% 81% 47%
Avg Max Increase   9.10% 13.01% 10.63% 9.54% 8.97% 8.90% 10.27% 12.58% 11.00% 9.16% 8.24%
Max Increase   16.96% 22.03% 21.85% 27.32% 35.93% 15.46% 33.82% 68.80% 31.54% 21.87% 16.31%
Avg Days To Max Increase   22 14 17 14 15 20 17 17 19 15 16
Avg Max Decline   -2.14% -3.73% -2.00% -3.05% -1.78% -2.56% -3.46% -1.77% -3.72% -2.74% -1.80%
Max Decline   -7.37% -17.20% -5.42% -9.08% -8.98% -5.66% -15.76% -9.35% -13.09% -14.62% -4.35%
Avg Days to Max Decline   10 8 9 5 8 16 11 8 11 4 2
2011 Contract Condition   Yes Yes Yes Yes Yes     Yes     Yes
Action   Yes Yes Yes Yes Yes     Yes     Not Yet
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Condition 2: Lower Monthly Close.
Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct
Tested Years   8 19 21 23 25 27 27 27 27 27 27
Closed Lower   4 10 8 7 7 15 15 9 13 11 12
Penetrated Low   2 6 2 3 4 9 10 7 7 9 8
Scenario Percentage   50% 60% 25% 43% 57% 60% 67% 78% 54% 82% 67%
Avg Max Decline   19.05% 6.79% 13.76% 6.55% 6.10% 8.61% 7.14% 9.17% 17.54% 14.53% 15.26%
Max Decline   26.89% 11.17% 18.56% 9.10% 7.18% 13.77% 16.11% 25.87% 50.85% 59.61% 34.02%
Avg Days To Max Decline   12 15 24 21 18 15 18 16 16 14 22
Avg Max Increase   -3.33% -1.58% -2.03% -0.25% -3.09% -0.88% -2.87% -4.00% -1.57% -2.41% -3.67%
Max Increase   -4.70% -5.94% -4.19% -2.10% -6.92% -3.88% -8.91% -15.40% -3.78% -6.53% -8.54%
Avg Days to Max Increase   12 10 10 16 8 5 9 15 8 5 3
2011 Contract Condition             Yes Yes   Yes Yes  
Action             Yes Yes   Yes Yes  
High 226.57 235.13 251.66 275.00 285.40 305.40 305.60 286.58 292.43 294.20 284.31 281.03
Low 208.66 220.20 231.34 244.55 258.80 282.43 259.00 253.07 268.76 241.60 244.51 241.18
Close/Last 217.06 235.13 249.33 272.66 284.23 304.93 281.78 275.25 286.91 280.49 249.70 260.57

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